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KYLChiu
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ExoticMonteCarloEngine
Apache License 2.0
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Local Vol Calibration
#53
ccjeremylo
opened
1 year ago
1
[Python] Add local vol model
#52
ccjeremylo
opened
1 year ago
2
[C++] Update first order greeks logic
#51
ccjeremylo
opened
1 year ago
0
Update README.md
#50
ccjeremylo
closed
1 year ago
0
[C++] Add digital options
#49
KYLChiu
opened
1 year ago
2
Static library CMake support
#47
KYLChiu
closed
1 year ago
2
Update cpp-ubuntu.yml
#46
KYLChiu
closed
1 year ago
0
[C++] Refactor RNG
#45
KYLChiu
opened
1 year ago
3
[C++] Add Arithmetic Asian payoff
#44
KYLChiu
opened
1 year ago
1
[C++/Cuda] Add first-order greeks
#43
KYLChiu
closed
1 year ago
2
set seed to 1 for now
#42
claudiayip
opened
1 year ago
1
[C++] Support early-exercise (Longstaff-Schwartz)
#41
KYLChiu
opened
1 year ago
1
[C++] Add control variates method framework to compare/improve accuracy against antithetic variates
#40
KYLChiu
opened
1 year ago
0
[C++] Add LV, SV, LSV models
#39
KYLChiu
opened
1 year ago
2
[C++] Add support for first-order greeks
#38
KYLChiu
closed
1 year ago
3
[C++/CMake] Fix relative paths to use correct project root + refactor project CMakeLists.txt
#37
KYLChiu
closed
1 year ago
0
[C++] Support path dependent options
#36
KYLChiu
closed
1 year ago
4
[C++] Initial build out of engine and making it interoperable with C++/CUDA
#35
KYLChiu
closed
1 year ago
0
Feature/Remove unused files and cleanup
#34
KYLChiu
closed
1 year ago
0
[CUDA/Thrust] Implementation of MC Pricer in CUDA/Thrust
#33
KYLChiu
closed
1 year ago
1
[Python] Support Geometric Style Asian Option
#32
ccjeremylo
opened
1 year ago
0
[Python] Support barrier Option - add barrier payoff
#31
ccjeremylo
opened
1 year ago
1
Pricing Asian Option with Exotic Engine
#30
ccjeremylo
closed
1 year ago
1
[Python] Refractor random number generator to support correlated Brownians
#29
ccjeremylo
opened
1 year ago
0
[Python] Cache / hold previous power variable in polynomial function object
#28
KYLChiu
opened
1 year ago
1
Update README.md
#27
ccjeremylo
closed
1 year ago
1
Support different termination conditions
#24
ccjeremylo
closed
1 year ago
1
[Python] Support multi-asset exotics (e.g. best-of/worst-of)
#23
ccjeremylo
opened
1 year ago
0
[Python] Support quasi random numbers in random number generator
#22
ccjeremylo
opened
1 year ago
0
Add an implied vol solver to support calibration
#21
ccjeremylo
closed
1 year ago
1
[Python] Support risks calculation (Greeks)
#20
ccjeremylo
opened
1 year ago
0
[Python] Support path-dependent payoffs
#19
ccjeremylo
opened
1 year ago
1
Building out basic structure: ability to re-price vanilla payoffs
#18
ccjeremylo
closed
1 year ago
1
[Python] Multiprocessing in MCEngine
#17
KYLChiu
opened
1 year ago
2
Feature/python exotic engine
#16
ccjeremylo
closed
1 year ago
3
Feature/python exotic engine
#15
ccjeremylo
closed
1 year ago
2
[Python] Inability to capture volatility skew
#14
ccjeremylo
opened
1 year ago
1
[Python] Use random number seed
#13
ccjeremylo
opened
1 year ago
2
Feature/python exotic engine
#12
ccjeremylo
closed
1 year ago
6
added a line in README
#11
ccjeremylo
closed
1 year ago
2
Add gather method in future chainer
#10
KYLChiu
closed
1 year ago
7
Fix clang-format
#9
KYLChiu
closed
1 year ago
0
Update README.md
#8
KYLChiu
closed
1 year ago
0
Implement .then() for futures / add promise functionality
#7
KYLChiu
closed
1 year ago
1
Update README.md
#6
ccjeremylo
closed
1 year ago
2
Update codecov.yaml
#5
KYLChiu
closed
1 year ago
0
Update README.md
#4
KYLChiu
closed
1 year ago
0
Update README.md
#3
KYLChiu
closed
1 year ago
0
Update README.md
#2
KYLChiu
closed
1 year ago
0
Update README.md
#1
KYLChiu
closed
1 year ago
0
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